cateschi / high_dimensional_state_space_model Goto Github PK
View Code? Open in Web Editor NEWR codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.
Home Page: https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssa.12626